Please use this identifier to cite or link to this item:
Ripatti, Antti
Saikkonen, Pentti
Year of Publication: 
Series/Report no.: 
Bank of Finland Discussion Papers No. 29/1998
We extend the conventional cointegrated VAR model to allow for general nonlinear deterministic trends.These nonlinear trends can be used to model gradual structural changes in the intercept term of the cointegrating relations.A general asymptotic theory of estimation and statistical inference is reviewed and a diagnostic test for testing the correct specification of an employed nonlinear trend is developed.The methods are applied to Finnish interest rate data.A smooth level shift of the logistic form between the own-yield of broad money and the short-term money market rate is found appropriate for these data.The level shift is motivated by the deregulation of issuing certificates of deposit and its inclusion in the model solves the puzzle of 'missing cointegration vector' found in a previous study.
cointegrated VAR model
gradual structural change
nonlinear deterministic trend
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.